Weighted least absolute deviations estimation for periodic ARMA models
文献类型：期刊论文
| 作者 | Pan, Baoguo1,2; Chen, Min2,3 ; Wang, Yan2
|
| 刊名 | ACTA MATHEMATICA SINICA-ENGLISH SERIES
 |
| 出版日期 | 2015-08-01 |
| 卷号 | 31期号:8页码:1273-1288 |
| 关键词 | Periodic ARMA WLADE asymptotic normality strict periodic stationarity periodic ergodicity |
| ISSN号 | 1439-8516 |
| DOI | 10.1007/s10114-015-4372-8 |
| 英文摘要 | This paper investigates the weighted least absolute deviations estimator (WLADE) for causal and invertible periodic autoregressive moving average (PARMA) models. Asymptotic normality of the estimator is derived under a fractional moment condition. A simulation study is given to assess the performance of the proposed WLADE. |
| 资助项目 | National Natural Science Foundation of China[10990012] ; National Natural Science Foundation of China[11021161] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000357641800005 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/20351]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Pan, Baoguo |
| 作者单位 | 1.Hubei Engn Univ, Sch Math & Stat, Xiaogan 432000, Peoples R China 2.Univ Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Capital Univ Econ & Finance, Sch Stat, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Pan, Baoguo,Chen, Min,Wang, Yan. Weighted least absolute deviations estimation for periodic ARMA models[J]. ACTA MATHEMATICA SINICA-ENGLISH SERIES,2015,31(8):1273-1288. |
| APA | Pan, Baoguo,Chen, Min,&Wang, Yan.(2015).Weighted least absolute deviations estimation for periodic ARMA models.ACTA MATHEMATICA SINICA-ENGLISH SERIES,31(8),1273-1288. |
| MLA | Pan, Baoguo,et al."Weighted least absolute deviations estimation for periodic ARMA models".ACTA MATHEMATICA SINICA-ENGLISH SERIES 31.8(2015):1273-1288. |
入库方式： OAI收割
来源：数学与系统科学研究院
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